Search found 2 matches

by JerryWC
Mon May 21, 2018 8:47 am
Forum: Estimation
Topic: AR term in multivariant GARCH model
Replies: 2
Views: 265

Re: AR term in multivariant GARCH model

Hello ~ I revised the code below and re-run, and it works! though freq shut-down maybe due to Microsoft issues. My head must be swimming... thanks for the reply again. _____________________________________ @STACKINST @INST DLN_CNH = C(1) + [AR(1)=C(2)] DLN_CNY = C(3) + [AR(1)=C(4)] _________________...
by JerryWC
Mon May 21, 2018 7:38 am
Forum: Estimation
Topic: AR term in multivariant GARCH model
Replies: 2
Views: 265

AR term in multivariant GARCH model

Hello, How to incorporate AR(1) in multivariant GARCH estimations? I input "AR(1)" in Common coefficients of Regressor and AR() terms under Make System window, the code becomes ------------------------------------- @STACKINST @INST DLN_CNH = C(1) + [AR(1)=C(2)] DLN_CNY = C(3) + [AR(1)=C(2)...

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